Mathematical Challenge July 2017

July 5, 2017

The efficient-market hypothesis developed by Fama states that asset prices fully reflect all available information. Therefore, according to the theory, no one can consistently outperform the market by using the same information that is already available to all investors.
Yet, a wide range of pricing anomalies are observed, suggesting that profitable portfolio strategies can be formulated [1]. Among the many candidates for the greatest anomaly, a particularly compelling one is the long-term success of low-volatility and low-beta portfolios...

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